Comparison Between Single and Multi Objective Genetic Algorithm Approach for Optimal Stock Portfolio Selection
Authors
N. Cvörnjek, M. Brezočnik, T. Jagrič, G. Papa
Publication
Fifth International Conference on Bioinspired Optimization Methods and their Applications (BIOMA) BIOMA 2014
Ljubljana, Slovenia, 13 September, 2014
Abstract
Portfolio selection is one of the most common problem in the field of finance. Many investors would like to allocate their funds in such way that ratio between return and risk will be as high as possible. Up to today, the problem has been solved with various approaches based on genetic algorithm technique and GA has proved to be suitable. In this paper we applied two different approaches based on genetic algorithm technique in order to solve the problem. First is single objective approach and second is multi objective one (NSGA-II). Results are showing that there is no significant difference between approaches.
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